Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0252
Annualized Std Dev 0.1437
Annualized Sharpe (Rf=0%) -0.1753

Row

Daily Return Statistics

Close
Observations 3961.0000
NAs 1.0000
Minimum -0.1448
Quartile 1 -0.0031
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0001
Quartile 3 0.0032
Maximum 0.1457
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0091
Skewness -0.3708
Kurtosis 47.4570

Downside Risk

Close
Semi Deviation 0.0066
Gain Deviation 0.0072
Loss Deviation 0.0080
Downside Deviation (MAR=210%) 0.0117
Downside Deviation (Rf=0%) 0.0066
Downside Deviation (0%) 0.0066
Maximum Drawdown 0.4268
Historical VaR (95%) -0.0111
Historical ES (95%) -0.0216
Modified VaR (95%) -0.0072
Modified ES (95%) -0.0072
From Trough To Depth Length To Trough Recovery
2010-09-24 2020-04-03 NA -0.4268 2623 2383 NA
2005-06-27 2008-10-09 2010-08-11 -0.3815 1289 827 462
2010-08-20 2010-08-30 2010-09-09 -0.0348 14 7 7
2010-09-15 2010-09-17 2010-09-22 -0.0262 6 3 3
2010-08-16 2010-08-16 2010-08-19 -0.0229 4 1 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA 0 0.1 0.1 0.5 2.2 -0.3 -1.2 0.6 1.9
2006 0.1 -0.4 -0.2 0.1 -1.7 0.5 -1.1 -0.7 0.2 -0.7 -0.1 0.4 -3.5
2007 -0.1 -0.8 -0.1 -0.2 -0.5 0.4 -0.4 0.3 -0.3 -0.4 0.4 1 -0.7
2008 -0.2 -0.1 0 -0.2 -0.5 -0.1 0.1 0.7 1.8 -1.6 3.7 0.1 3.7
2009 0 -0.3 -0.6 -0.3 0.9 -0.1 0.5 -0.2 -0.2 0.1 -1.1 -0.2 -1.4
2010 0.1 -0.2 -0.8 -0.3 -0.1 -0.5 0.6 -0.2 -0.6 -0.3 -0.5 -0.3 -3.1
2011 -1.1 -0.6 -0.5 0 -0.3 -1.1 3 -1.7 0.6 -0.9 -2.5 -0.2 -5.4
2012 0.1 -0.2 0.6 -0.5 -0.2 0.2 -0.4 0.5 0 -1.8 -0.8 -0.5 -3
2013 -0.5 0 -0.2 -0.8 -0.6 -0.7 -0.6 -0.5 0.8 0.7 0.1 0.1 -2.1
2014 -0.5 0.1 -0.3 -0.2 -0.1 0.1 -0.6 0.3 0.2 0 -0.4 -0.1 -1.5
2015 0.5 -0.2 0.3 0.2 -0.3 -0.3 0.5 -0.3 -0.5 0.7 -0.7 0.8 0.6
2016 -0.3 -1.1 0.8 0.5 -0.6 -0.4 -0.9 -0.5 0.4 -0.2 0.2 0.4 -1.8
2017 -0.6 -0.8 0.1 -0.4 -0.2 -0.1 -0.8 0.1 0.4 -0.8 -0.4 0 -3.5
2018 -0.5 0.3 0 -0.7 -0.4 0.8 -0.5 0.1 0 0 0.1 0.5 -0.3
2019 -0.8 0.6 -0.1 -0.3 0.4 -0.2 -0.7 1 -0.3 0.1 -0.1 0.4 -0.2
2020 0.2 2.4 1.7 -0.9 0.2 -0.3 1.2 -1.8 0.4 -0.4 0.3 0.4 3.3
2021 -0.4 1.3 0.1 NA NA NA NA NA NA NA NA NA 1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2005-05-26  20.0 SPY    120.  0.0054   0.0064   0.038   -0.0114   0.0696    0.110   -0.149 GLD    41.7 -0.0043  -0.0069 
2 2005-05-27  20   SPY    120.  0.0017   0.0095   0.053   -0.0032   0.0654    0.121   -0.142 GLD    41.9  0.0046   0.0055 
3 2005-05-31  20   SPY    119. -0.0064  -0.0025   0.0322  -0.0144   0.0587    0.117   -0.134 GLD    41.6 -0.0055   0.0007 
4 2005-06-01  20   SPY    120.  0.0085   0.0084   0.0352  -0.0055   0.0691    0.124   -0.141 GLD    41.5 -0.00290 -0.00480
5 2005-06-02  20.0 SPY    121.  0.0022   0.0113   0.0357  -0.0038   0.0674    0.157   -0.124 GLD    42.1  0.0137   0.0055 
6 2005-06-03  20   SPY    120. -0.0051   0.0008   0.0226  -0.021    0.0719    0.148   -0.129 GLD    42.2  0.0017   0.0115 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart